| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5061910 | Economics Letters | 2008 | 4 Pages |
Abstract
By applying Bai and Perron's [Bai, J., Perran, P., 1998. Estimating and testing linear models with multiple structural changes. Econometrica 66, 47-78] change-point model, we pinpoint the exact dates for structural breaks in the book-to-market premium. We find that overall the BM premium is better explained by Fama-French's three-factor model.
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Economics, Econometrics and Finance
Economics and Econometrics
Authors
Pin-Huang Chou, Kuan-Cheng Ko,